Fade Forward

A Fade Forward is an accrual-based forward, whereby an amount of the notional (a unit) is accrued on each day that the fixing is above / below a pre-specified Fade Rate. There is an additional boost factor on this product whereby two units are accrued on an OTM fixing so as to further improve the strike rate.

Payoff Diagram:

Payoff at Expiry:

Every day EURUSD fixes:

• Between the Fade Rate and the Strike Rate, a unit is accrued at the Strike Rate.

• Below the Strike Rate, 2 units are accrued at the Strike Rate.

• Above the Fade Rate, an amount is accrued.